【摘要】：貨幣政策,是中央銀行為實現(xiàn)既定的經(jīng)濟目標運用各種工具調(diào)節(jié)貨幣供給和利率,進而影響宏觀經(jīng)濟的方針和措施的總和。通常來看,各市場經(jīng)濟國家的貨幣政策存在過兩種類型：相機抉擇型和規(guī)則型。一項貨幣政策規(guī)則就是描述中央銀行是如何根據(jù)GDP或通貨膨脹等經(jīng)濟變量相應設定貨幣工具或設定利率函數(shù),以實現(xiàn)保持低而穩(wěn)定的通貨膨脹以及較小的GDP波動的貨幣政策最終目標。根據(jù)在貨幣政策實施中的不同作用層次,貨幣政策規(guī)則可分為目標規(guī)則和工具規(guī)則。目標規(guī)則是指貨幣政策中間目標的確定；工具規(guī)則是指中央銀行貨幣政策工具的操作規(guī)范。 泰勒規(guī)則是一個簡單的貨幣政策工具規(guī)則,它對貨幣政策要實現(xiàn)的兩個目標進行了概括,即保證經(jīng)濟實現(xiàn)最大化和可持續(xù)增長,同時維持低而穩(wěn)定的通貨膨脹。這就是線性的泰勒規(guī)則或線性的利率規(guī)則。 然而線性的泰勒規(guī)則在解決貨幣政策操作工具使用中往往宏觀調(diào)控效應滯后,彈性小。因此,各國專家學者旨在研究探索能切合本國實際情況的泰勒規(guī)則指導本國的宏觀調(diào)控效應和利率機制慣性問題。Levin, WielandWilliam (1998)分析美國貨幣政策時發(fā)現(xiàn)滯后利率的反應系數(shù)很大,說明美聯(lián)儲利率機制具有顯著的慣性。米什金(Mishkin,1999)對泰勒規(guī)則進行了擴展,在泰勒規(guī)則中加入利率平滑因子。Clarida, Gali and Gertler(1998,2000)建立了前瞻性的貨幣政策反應函數(shù),估算結果表明沃克爾-格林斯潘時期的利率政策比之前的利率政策對預期通脹的反應更敏感。 以上研究大多是對線性泰勒規(guī)則進行修正和拓展,而研究和探討泰勒規(guī)則非線性問題卻少之甚少。由于中國貨幣政策操作和實施時間較短,也就十幾年時間,因此,在金融宏觀調(diào)控操作過程中調(diào)控效應差、利率彈性低等問題始終沒有得到有效解決,因此,專家學者在這方面研究和探討一直是熱點話題。又由于中國已進入市場經(jīng)濟多年,金融宏觀調(diào)控手段得到廣泛應用,各宏觀經(jīng)濟變量互相之間交織在一起,形成復雜系統(tǒng),泰勒規(guī)則中類似反應函數(shù)和利率機制慣性等問題用線性手段根本無法解決,應考慮非線性手段和方法來解決,這是一個處理復雜系統(tǒng)的有效工具,以達到中國泰勒規(guī)則應用靈活性的目的。由于研究方法定量的局限性,因此,泰勒規(guī)則非線性問題研究論文很是少見。 本文分析了非線性泰勒規(guī)則的引源、適用條件及成因,明晰了非線性泰勒規(guī)則的理論脈絡,同時對非線性時間序列計量模型進行了選擇和比較,給出了平滑機制轉換(STR)模型,在此基礎上進行了優(yōu)化和改進,建立了泰勒規(guī)則非線性STR的模型,采用了中國從1996年至2011年近64個季度GDP、同業(yè)拆借利率、CPI及上證綜合指數(shù)(參考變量)等宏觀經(jīng)濟變量對論文所建模型進行了實證檢驗,研究同時也證明了該模型的合理性。論文對本文所構造模型與線性泰勒規(guī)則模型進行對比,通過線性和非線性模型得到的利率值和實際利率值的比較證明了非線性模型的有效性、正確性,并給出相關政策建議。 論文分七章展開：第1章緒論；第2章泰勒規(guī)則及STR模型等相關備用知識；第3章非線性泰勒規(guī)則的引源、適用條件及其非線性的原因分析；第4章非線性時間序列計量模型的選擇；第5章泰勒規(guī)則非線性STR模型的建立；第6章泰勒規(guī)則非線性STR模型的應用；第7章結束語。
[Abstract]:Monetary policy is the sum of the policies and measures that the central bank uses various tools to regulate the money supply and interest rate and then affect the macro-economy. Generally speaking, there are two types of monetary policy in each market economy country: discretionary and regular. A monetary policy rule is the description of the central government. How do banks set monetary instruments or set interest rates according to the economic variables such as GDP or inflation to achieve the ultimate goal of monetary policy, which maintains low and stable inflation and small GDP fluctuations. According to the different levels of action in the implementation of monetary policy, the rules of currency policy can be divided into target rules and tool rules. Target rules refer to the determination of intermediate objectives of monetary policy, and instrumental rules refer to the operational norms of monetary policy instruments of the central bank.
The Taylor rule is a simple rule of monetary policy tool. It generalizes the two objectives of monetary policy realization, that is to ensure that the economic realization is maximized and sustainable, while maintaining low and stable inflation. This is the linear Taylor rule or linear profit rate rule.
However, the linear Taylor rule is often lagging behind in the use of monetary policy operating tools, and the flexibility is small. Therefore, experts and scholars of various countries aim to explore the macroeconomic regulation effect and interest rate mechanism inertia of the Taylor rules that can be combined with the actual situation of the country.Levin, WielandWilliam (1998) analysis of American goods. The reaction coefficient of the lagging interest rate found in the currency policy is very large, indicating that the Fed interest rate mechanism has significant inertia. Taylor (Mishkin, 1999) has expanded the Taylor rule, added the interest rate smoothing factor.Clarida to the Taylor rule, and Gali and Gertler (19982000) to establish a forward-looking monetary policy response function. The estimation results show that The interest rate policy in the Volcker Greenspan era is more sensitive than the previous interest rate policy to the expected inflation.
Most of the above studies are the correction and expansion of the linear Taylor rule, while the study and discussion of the nonlinear problem of Taylor rule are very few. Because of the short operation and implementation time of China's monetary policy, it is also more than ten years. Therefore, the problem of adjustment and control in the operation of financial macro-control and the low rate of interest rate have never been obtained. To solve the problem effectively, the experts and scholars have been a hot topic in this field. And because China has entered the market economy for many years, the financial macro-control means have been widely used. The macroeconomic variables are interwoven together to form a complex system, and the Taylor rules are similar to the reaction function and the interest rate mechanism. Linear means can not be solved at all. Nonlinear means and methods should be considered. This is an effective tool to deal with complex systems to achieve the purpose of the flexibility of the application of Taylor rules in China. Because of the limitations of the quantitative research method, the research papers on the nonlinear problem of Taylor rule are very rare.
In this paper, the origin, conditions and causes of nonlinear Taylor rule are analyzed. The theoretical context of nonlinear Taylor rule is clarified. At the same time, the nonlinear time series model is selected and compared, and the smooth mechanism transformation (STR) model is given. On this basis, the model is optimized and improved, and the model of the Taylor rule nonlinear STR is established. By using the macroeconomic variables such as GDP, interbank interest rate, CPI and the Shanghai Composite Index (reference variable) from 1996 to 2011, the model is proved to be reasonable. The paper compares the model with the linear Taylor rule model in this paper. The comparison between the interest rate value and the real interest rate value obtained by the nonlinear and nonlinear models proves the validity and correctness of the nonlinear model, and gives relevant policy recommendations.
The thesis is divided into seven chapters: the first chapter introduction; the second chapter Taylor rules and the STR model and other related spare knowledge; the third chapter the source of the nonlinear Taylor rule, the application conditions and the nonlinear reason analysis; the fourth chapter nonlinear time series model selection; the fifth chapter Taylor rule non linear STR model establishment; the sixth chapter Taylor rule. The application of the nonlinear STR model; the end of the seventh chapter.
【學位授予單位】：東北大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F820;F224

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